FEX Options History — January 2021 In January 2021, FEX traded between $72.38 and $77.32. ATM implied volatility averaged 26.4%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 12.9% (HV 20d: 13.5%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2021-01-07 : Highest Volume — 3 contracts2021-01-27 : Largest IV spike — 87.4% change2021-01-27 : Highest IV Rank — 42.3%2021-01-27 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $75.66 $72.38 $77.32 $72.38 $73.81 ATM IV 26.4% 19.9% 44.0% 29.7% 27.6% Expected Move 7.0% 5.6% 12.6% 6.8% 7.9% HV 20d 13.5% 10.3% 19.0% 10.6% 19.0% HV 60d 15.4% 13.9% 15.8% 15.2% 15.1% IV Rank 17.4% 8.1% 42.3% 22.0% 19.1% IV Percentile 34.2% 9.5% 85.7% 53.2% 43.3% Term Structure -1.6% -8.0% 5.3% -0.2% 5.3% Skew 25d 8.3% 3.9% 15.8% 13.8% 11.4% Skew 10d 8.6% 4.9% 23.3% 23.3% 17.2% Call IV 25d 19.0% 14.2% 29.3% 19.8% 27.7% Put IV 25d 27.3% 22.4% 45.1% 33.6% 39.1% Bid-Ask Spread % 136.81 89.39 164.39 89.39 127.42 Gamma HHI 0.17 0.13 0.23 0.15 0.17 Net GEX 10.1K 5.7K 12.6K 11.6K 9.8K Net DEX -814.1K -886.4K -697.0K -697.0K -756.3K Net VEX -600 -1.1K -151 -1.1K -777 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.474 0 3 0 0 Total OI 143.737 141 147 145 144
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-01-04 $72.38 $0.00 29.7% 6.8% 10.6% 22.0% 0.0% 13.8% -0.2% 11.6K -697.0K -1.1K 0.00 89.39 N/A N/A 0 0 121 24 2021-01-05 $73.14 $0.00 31.1% 8.0% 10.3% 24.0% 0.0% 3.9% -6.7% 12.6K -736.2K -919 0.00 128.51 N/A N/A 0 0 121 24 2021-01-06 $74.39 $0.00 30.3% 5.9% 11.8% 22.9% 0.0% 7.5% -1.0% 12.0K -768.3K -846 0.00 136.98 N/A N/A 0 0 121 24 2021-01-07 $75.82 $0.00 23.5% 5.6% 13.3% 13.3% 0.0% 10.4% 4.4% 11.8K -816.0K -695 0.00 131.05 N/A N/A 3 0 121 24 2021-01-08 $75.95 $0.00 26.5% 5.9% 12.7% 17.5% 0.0% 10.1% -1.1% 12.4K -830.3K -670 0.00 127.75 N/A N/A 0 0 123 24 2021-01-11 $76.07 $0.00 19.9% 6.4% 12.6% 8.1% 0.0% 5.7% -0.0% 12.4K -800.3K -772 0.00 139.45 N/A N/A 1 0 121 24 2021-01-12 $76.77 $0.00 32.6% 6.1% 12.6% 26.2% 0.0% 5.5% -0.3% 11.2K -825.1K -701 0.00 139.56 N/A N/A 0 0 121 24 2021-01-13 $76.62 $0.00 21.0% 6.0% 12.6% 9.7% 0.0% 6.0% -1.1% 12.2K -848.2K -510 0.00 140.59 N/A N/A 2 0 121 24 2021-01-14 $76.93 $0.00 21.3% 6.1% 12.3% 10.1% 0.0% 6.0% -1.1% 11.2K -846.8K -510 0.00 139.99 N/A N/A 0 0 120 24 2021-01-15 $76.13 $0.00 22.8% 6.5% 13.1% 12.3% 0.0% 8.8% -0.2% 12.4K -805.8K -682 0.00 139.88 N/A N/A 0 0 120 24 2021-01-19 $76.78 $0.00 22.1% 6.3% 13.2% 11.3% 0.0% 6.6% -1.2% 8.0K -833.6K -523 0.00 140.67 N/A N/A 0 0 118 23 2021-01-20 $77.32 $0.00 22.1% 6.3% 13.1% 11.2% 0.0% 5.9% -1.3% 5.7K -886.4K -200 0.00 141.12 N/A N/A 0 0 118 23 2021-01-21 $77.00 $0.00 21.7% 6.2% 13.3% 10.7% 0.0% 5.9% -1.7% 6.8K -852.0K -400 0.00 140.92 N/A N/A 0 0 118 23 2021-01-22 $76.79 $0.00 21.5% 6.2% 13.4% 10.4% 0.0% 6.4% -1.2% 5.8K -884.6K -151 0.00 141.12 N/A N/A 0 0 118 23 2021-01-25 $76.56 $0.00 36.8% 10.5% 13.5% 32.2% 0.0% 10.1% -6.6% 10.4K -865.3K -229 0.00 164.39 N/A N/A 3 0 118 23 2021-01-26 $76.11 $0.00 23.4% 6.7% 13.3% 13.2% 0.0% 6.9% -5.0% 6.6K -851.6K -448 0.00 141.49 N/A N/A 0 0 121 23 2021-01-27 $73.94 $0.00 44.0% 12.6% 17.2% 42.3% 0.0% 15.8% -8.0% 11.4K -714.6K -915 0.00 164.12 N/A N/A 0 0 121 23 2021-01-28 $75.10 $0.00 23.4% 6.7% 17.8% 13.2% 0.0% 10.3% -2.8% 7.5K -849.6K -334 0.00 124.93 N/A N/A 0 0 121 23 2021-01-29 $73.81 $0.00 27.6% 7.9% 19.0% 19.1% 0.0% 11.4% 5.3% 9.8K -756.3K -777 0.00 127.42 N/A N/A 0 0 121 23
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